by College of Commerce and Business Administration, University of Illinois at Urbana-Champaign in [Urbana, Ill.] .
Written in English
|Statement||Kent G. Becker, Joseph E. Finnerty, Manoj Gupta|
|Series||BEBR faculty working paper -- no. 89-1595, BEBR faculty working paper -- no. 89-1595.|
|Contributions||Finnerty, Joseph E., Gupta, Manoj, University of Illinois at Urbana-Champaign. Bureau of Economic and Business Research|
|LC Classifications||HF5006 .B43 v.1989, no.1595|
|The Physical Object|
|Pagination||12,  p. ;|
|Number of Pages||12|
CiteSeerX - Document Details (Isaac Councill, Lee Giles, Pradeep Teregowda): This paper finds a high correlation between the open to close returns in U. S. stocks in the previous trading day and the performance in the Japanese equity market in the current period. In contrast, the Japanese market has only a small impact on the U. S. return in the current period. Downloadable (with restrictions)! This paper finds a high correlation between the open to close returns for U.S. stocks in the previous trading day and the Japanese equity market performance in the current period. In contrast, the Japanese market has only a small impact on the U.S. return in the current period. High correlations among open to close returns are a violation of the efficient. We find that while most of the unexpected variations in stock returns in these Asian emerging markets is explained by domestic own shocks, the impacts from the U.S. and Japan are larger in Hong Kong and Singapore than in Korea and Taiwan. This foreign effect is pronounced after the Crash of the October , especially in by: They also find that the Japanese market acts like a follower in the international market. Becker, Finnerty, and Gupta () examine the intertemporal relation of the U.S. and the Japanese stock markets and conclude that the U.S. market greatly influences the Japanese market, while the Japanese market has a smaller impact on the U.S. market.
This paper tests the risk-return relations for Asian stock markets by employing conditional volatility, local downside risk, regional downside risk, and world/U.S. downside risk. We find positive and significant intertemporal relations between excess stock returns and various risks. This article seeks to explore the difference between Japanese and U.S. stocks. Other than the obvious, the Japanese markets have not done as well as the American markets. Sarwar (a Sarwar (, b and Mensi et al. () also documented the finding of intertemporal relations between stock market risk and returns, as Sarwar (a) focused on S&P , and. The author, a well-known analyst and a publisher of financial news, has produced a timely book that will be of interest to the person studying world financial markets and economies, as well as to the investor who may wish to look at alternative markets. Japan is currently the world's leading creditor nation, and its investment market is very Author: Toru Matsumoto.
The Relationship between the U.S. and Four Asian Stock Markets Reena Aggarwal and Pietra Rivoli Conventional wisdom among academic researchers suggests that there is a high degree of independence between equity returns in the United States and those in other countries. However, practitioners often suggest that other markets tend to be. Supportive to our generally bullish view of the Japanese stock market this year is our expectation that the Bank of Japan is unlikely to follow in the footsteps of the U.S. and Europe and begin. Japanese ADR's: Quotes, Charts, News and Profiles of Japanese Stocks traded on U.S. Exchanges. al. () investigated the relationship among the stock markets of the U.S., Japan, Hong Kong, South Korea, Taiwan, and Singapore by applying the method of Pair-wise and Higher-Order Cointegration on daily and weekly stock prices during the s period. The results indicated no evidence of integration among these six stock markets which.